Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0385
Annualized Std Dev 0.2238
Annualized Sharpe (Rf=0%) -0.1720

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1640
Quartile 1 -0.0048
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0050
Maximum 0.1635
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0141
Skewness -0.4721
Kurtosis 21.6484

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0111
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.8510
Historical VaR (95%) -0.0193
Historical ES (95%) -0.0343
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0189
From Trough To Depth Length To Trough Recovery
1999-04-13 2008-12-15 NA -0.8510 5522 2436 NA
1999-01-14 1999-02-25 1999-04-12 -0.0694 60 29 31
1999-01-11 1999-01-11 1999-01-12 -0.0278 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 1.4 1.4 0 -1.4 0 0 0 0 1.6 -1.7 2 3.4
2000 0 2 2.1 0 4.2 1.9 3.6 -1.7 1.8 2 0 -2.3 14.2
2001 -0.3 0.3 1 2.4 1 -0.7 0.7 1 6 0.7 -3.1 -2.9 6
2002 0 1.5 0 0.4 0.4 0 -0.5 1.6 0 -2.2 5 0 6.2
2003 2.8 -1.8 0 -1.8 0.9 1.4 0 0.5 0.5 -1 1 -0.5 2
2004 1.8 -0.9 0 2.1 0.5 0 1.5 -0.5 1 -0.5 0.5 0 5.6
2005 1.8 0.9 0.5 0.5 0.5 0.9 0 1.4 0.5 1 0 0 8.2
2006 0.5 0.9 -0.5 2.4 0 0.9 0.9 1.4 -0.5 0 -0.4 0.4 6.3
2007 0.9 0 -0.4 0.4 -1.3 0 -1 -0.5 0 0 0 0.6 -1.3
2008 1.1 -0.6 -0.1 1.8 -0.6 -0.1 0.7 0.7 -0.9 8.6 2.6 1.1 14.8
2009 0 -1.1 3.8 2.7 3.3 0 1.1 0.6 -1 -2.9 0.6 0.6 7.7
2010 0.9 1.1 1.2 -0.3 1.3 1.5 -0.6 -1.1 1.2 -0.2 -1.2 -0.5 3.3
2011 0.4 -0.9 0.6 0.2 -0.4 -0.1 1.7 -0.4 -1.3 0.6 -0.8 -1.3 -1.6
2012 0.7 0.2 -1.2 1.3 -0.3 0.5 0.5 -0.1 0.5 0.7 -0.5 1.5 3.6
2013 0.2 0 0.4 0.3 0.2 -0.4 -0.7 0.9 0.8 -0.4 0.2 1.8 3.3
2014 -0.2 -0.1 0.1 0.1 -0.2 -0.4 0.5 0.2 0 -0.3 0.1 0.9 0.7
2015 0.2 -0.3 0.6 0.8 0.5 0.9 0.2 0.7 -1.4 0.5 0.8 -0.3 3.3
2016 -0.7 2.2 -0.4 -0.4 -2 0.8 -0.1 0.5 0.5 -0.4 -0.6 0.8 0.2
2017 0.7 1.2 0.2 0 -0.3 0.4 -0.1 -0.8 0.4 0.5 0.5 0 2.8
2018 0.7 -0.1 0.2 0.5 -0.5 0.5 -0.4 -0.5 0.2 1.1 -0.1 0.1 1.8
2019 0.1 0.2 1.1 0.1 -1.4 -1.2 0.7 -0.3 1.4 0.9 0.5 0 1.9
2020 0 -3.1 -4.3 -1.5 1.6 1.4 0.9 0.7 0.7 -0.1 0.6 -0.5 -3.6
2021 -0.3 1.3 -0.2 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  21.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  21.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  21.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  22.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  22.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  21.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart